<p>
  For six years backtesting of EURUSD, the overall statistics show an annual rate of return of 2.3% and with a Sharpe Ratio of 0.31. EURUSD has a significant uptrend from 2010 to 2012. This momentum strategy outperforms the market and seems to be profitable from 2010 to 2014.  The maximum drawdown occurs in May 2015 to December 2015 and is roughly 14%. From our results we find the strategy works best in an trending forex market.
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<p>
  In contrast, GBPUSD is pretty volatile during the tested period from 2010 to 2016. Our testing demonstrated a negative annual rate of return with a drawdown of approximately 19%.
  When the volatility decreases, the price tends to continue following the current trend. Volatility causes the the look back days to decrease when computing the bollinger bands, making it easier to enter a trade.  If the market volatility increases we increase the look back days in order to filter the fake signals, making it harder to enter a trade.
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<p>
  Here we use the standard deviation of price as a measure of market volatility. To improve the model we could choose other measures of volatility like standard deviation of logarithm return series or other stochastic volatility measures.
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